Threshold Ornstein-Uhlenbeck process: drift parameters estimation

10.02.2021, 13:00
Forschungsseminar Wahrscheinlichkeitstheorie

Dr. Sara Mazzonetto

With the term threshold diffusion we denote diffusion processes which follow different dynamics in different space intervals. We focus on the one-dimensional case of two Ornstein-Uhlenbeck dynamics in two semi-axes: Threshold Ornstein-Uhlenbeck process. We discuss (quasi)-maximum likelihood estimation of the drift parameters based on continuous and discrete time observations. We study the convergence - in high frequency and/or in long time - of these estimators. We conclude by analyzing an application to short term US interest rates. This is a joint work with Paolo Pigato.